Bar*exo SentnaL Ne prt-lplNas

OFFICE OF THE GOVERNOR

ctRcuLAR NO. s81

Series of 20i.5

Subject: lmplementing Guidelines on the Basel lll Leverage Ratio Framework

The Monetary Board, in its Resolution No. g2g dated 21May 2o?:s, approved
the implementing guidelines on the Leverage Ratio framework in accordance with
the Basel lll standards.

Section 1. The following subsection of the Manual of Regulations for Banks

(MORB) is hereby added as follows:

"Subsection X115.6 Basel lll Leverage Ratio Framework

a. The Basel lll Leverage Ratio is designed to act as a supplementary measure to

the risk-based capital requirements. The leverage ratio intends to restrict the build-
up of leverage in the banking sector to avoid destabilizing deleveraging processes
which can damage the broader financial system and the economy. Likewise, it
reinforces the risk-based requirements with a simple, non-risk based ,,backstop,,
measure.

The Basel lll leverage ratio is defined asthe.capital measure (the numerator)
divided by the exposure measure (the denominator), with this ratio expressed as
percentage:

Capital Measure
Basel lll Leverage Ratio (%) (Tier 1 Capital)

Exposure Measure
The leverage ratio shall not be less than 5.0 percent computed on both solo
(head office plus branches) and consolidated bases (parent bank plus subsidiary
financial allied undertakings but excluding insurance companies).

The guidelines implementing the Basel lll Leverage Ratio framework are
provided in Appendix 111. The guidelines shall apply to universal banks (UBs) and
commercial banks (KBs) and their subsidiary banks/quasi-banks (eBs).

Starting 31 December 2OL4 and every quarter thereafter until 31 December

20L6, concerned banks shall submit the Basel lll Leverage Ratio reporting template,
including required disclosure templates, on both solo and consolidated bases for
monitoring purposes. For the periods ended 31 Decemb er 2OL4,31 March 2015 and
30 June 2OL5, the reports shall be submitted within 30 banking days from 30 June
2015 on both solo and consolidated bases. For the succeeding quarters, the report
shall be submitted semi-annually, each submission covering two quarters on both
solo and consolidated bases. Report submission shall be 15 banking days and 30

A' Mabini st., Malate 1004 Manila, philippines . (63217og-1701 . www.bsp.gov.ph r bspmail@bsp.gov.ph
banking days on solo and consolidated bases, respectively, from the end of the most
recent reference quarter. The report submission is summarized below:

Report Date Reference Date Deadline of Submission

31 December 2OL4 30 banking days on both solo and
3l March 2015 30 June 2015 consolidated bases from end of
30 June 2015 reference date
30 September 2015
31 December 2015
31 December 2015 15 banking days on solo basis from
31 March 2016 end of reference date and
30 June 2016
30 June 2015 30 banking days on consolidated
30 September 2016 basis from end of reference date
31 December 2016
31 December 2016

Specific guidelines on the mode and manner of submission of the Basel lll
Leverage Ratio reporting and disclosure templates shall be covered by a separate
memorandum issuance.

During the monitoring period, the BSP shall continue to assess the calibration
as well as the treatment of the components of the leverage ratio. Final guidelines
shall be issued in view of the changes to the framework as well as migration from
monitoring of the leverage ratio to a Pillar 1 requirement starting 0l January 2OL7.
Public disclosure of information relative to leverage ratio shall not be required
during the monitoring period, i.e. 31 December 2014 to 3lDecember 2016.

b. Sanctions. Banks shall not be penalized on any breach on the 5.0 percent
minimum leverage ratio during the monitoring period, i.e., 31 December 2OL4 to
31 December 2016. However, late and/or erroneous reports shall be subject to
penafties provided under Subsection XL92.2 of the MORB. Banks failing to submit
the required reports within the prescribed deadlines shall be subject to monetary
penalties applicable for delayed reporting under existing regulations. For purposes
of imposing monetary penalties, the reports shall be classified as a Category A-1
report."

Section 2. The following subsection of the Manual of Regulations for Non-

Bank Financial Institutions (MORNBFI) is hereby added as follows:

"Subsection 4115Q.6 Basel lll Leverage Ratio Framework

a. The Basel lll Leverage Ratio is designed to act as a supplementary measure to

the risk-based capital requirements. The leverage ratio intends to restrict the build-
up of leverage in the banking sector to avoid destabilizing deleveraging processes
which can damage the broader financial system and the economy. Likewise, it
reinforces the risk-based requirements with a simple, non-risk based "backstop"
measure.

The Basel lll leverage ratio is defined as the capital measure {the numerator)
divided by the exposure measure (the denominator), with this ratio expressed as
percentage:

Page 2 oI 4
 Capital Measure
Basel lll Leverage Ratio (%) (Tier 1 Capital)
= ------------
Exposure Measure

The leverage ratio shall not be less than 5.0 percent computed on both solo
(head office plus branches) and consolidated bases (including subsidiary financial
allied undertakings but excluding insurance companies).

The guidelines implementing the Basel lll Leverage Ratio framework are
provided in Appendix Q-65. The guidelines shall apply to subsidiary quasi-banks
(Qes1 of universal banks (UBs) and commercial banks (KBs).

Starting 31 December 20L4 and every quarter thereafter until 31 December

2OL6, concerned QBs shall submit the Basel lll Leverage Ratio reporting template,
including required disclosure templates, on both solo and consolidated bases for
monitoring purposes. For the periods ended 31 Decemb er 20L4,31 March 2015 and
30 June 20L5, the reports shall be submitted within 30 banking days from 30 June
2015 on both solo and consolidated bases. For the succeeding quarters, the report
shall be submitted semi-annually, each submission covering two quarters on both
solo and consolidated bases. Report submission shall be 15 banking days and 30
banking days on solo and consolidated bases, respectively, from the end of the most
recent reference quarter. The report submission is summarized below:

Report Date Reference Date Deadline of Submission

31 December 2OL4 30 banking days on both solo and
31 March 2015 30 June 2015 consolidated bases from end of
30 June 2015 reference date
30 September 2015
31 December 2015
31 December 2015 15 banking days on solo basis from
3l March 2016 end of reference date and
30 June 2016
30 June 2015 30 banking days on consolidated
3O September 2016 basis from end of reference date
31 December 2016
31 December 2QLG

Specific guidelines on the mode and manner of submission of the Basel lll
Leverage Ratio reporting and disclosure templates shall be covered by a separate
memorandum issuance.

During the monitoring period, the BSP shall continue to assess the calibration
as well as the treatment of the components of the leverage ratio. Final guidelines
shall be issued in view of the changes to the framework as well as migration from
monitoring of the leverage ratio to a Pillar 1 requirement starting 01 January 20L7.
Public disclosure of information relative to leverage ratio shall not be required
during the monitoring period, i.e. 31 December 2O14to 31 December 2016.

b. Sanctions. QBs shall not be penalized on any breach on the 5.0 percent
minimum leverage ratio during the monitoring period, i.e., 31 December 2014 to
31 December 2016. However, late and/or erroneous reports shall be subject to

Page 3 of 4
penalties provided under Subsection 4L92e.Z of the MORNBF|. eBs failing to
submit the required reports within the prescribed deadlines shall be subject to
monetary penalties applicable for delayed reporting under existing regulations. For
purposes of imposing monetary penalties, the reports shall be classified as a
Category A-1 report."

Section 3. Appendix 6/Appendix Q-3 on reports required of banks/eBs in

to subsections X115.6/4115Q.6 of the MoRB/MoRNBFt are hereby
relation
amended to reflect the required Basel lll Leverage Ratio reporting and disclosure
templates. :

This circular shall take effect fifteen (15) calendar days following its
publication either in the Official Gazette or in a newspaper of general circulation.

FOR THE MONETARY BOARD:

TETANGCO, JR.

T lune zors

Page 4 of 4
 APP.111

GUIDETINES ON THE IMPTEMENTATION OF THE

BASEL III LEVERAGE RATIO FRAMEWORK

The BSP will adopt a leverage ratio framework that is designed to act as a credible
supplementary measure to the risk-based capital requirements. The leverage ratio
intends to:
o Restrict the build-up of leverage in the banking sector to avoid destabilizing
deleveraging processes which can damage the broader financial system and the
economy; and
o Reinforce the risk-based requirements with a simple, non-risk based "backstop"
measure.

This framework is largely based on the document issued by the Basel Committee on
Banking Supervision ("Basel Committee" or "BCBS") released in January 2014 entitled
"Basel lll Leverage Ratio Framework and Disclosure Requirements".

A. Definition, Minimum Requirement and scope of Apprication

Leverage ratio is defined as the capital measure (the numerator) divided by the exposure
measure (the denominator), expressed as a percentage:

Tier l Capital
Basel lll Leverage Ratio (%| =
Exposure Measure

The leverage ratio shall not be less than 5.0 percent and will be applied to all universal
and commercial banks (u/KBs) and their subsidiary banks/quasi-banks (eBs) computed
on both solol and consolidated2 bases, similar with the capital adequacy framework, i.e.,
computed on a daily basis and reported on a quarterly basis.

1. Capital Measure
The capital measure for the leverage ratio is Tier 1 capital calculated in accordance with
Circular No. 781 dated 15 January 2013.

Tier 1 capital should be net of regulatory deductions3 applicable to Tier 1 capital. ltems
that are deducted completely from capital do not contribute to leverage, hence, should
also be deducted from the exposure measure.

1
Pertains to the reporting entit/s head office and branches
2
Pertains to the reportint entity and its financial allied subsidiaries except insurance companies that are required to be consolidated
on a
line-byJine basis for the purpose of preparing consolidated financial statements
3 Refers to Regulatory
Adjustments to CET1 Capital (ltems A.2.Lto A.2.241 and Regulatory Adjustments to Additional Tier 1 (AT1) Capital
(ltems A.5.1 to A.5.8) of Part ll (Qualifying Capital) of the Basel lll CAR Template (Version 3).
 APP.111

2. Exposure Measure

a. General Measurement Principles in respect of the Exposure Measure

U/KBs and their subsidiary banks/QBs should generally follow the accounting value
of exposure for the purposes of calculating the Exposure Measure for the leverage
ratio, except that:

On-balance sheet, non-derivative exposures are to be included in the Exposure

Measure net of specific provisions; and
Netting of loans and deposits is not allowed.

U/KBs and their subsidiary banks/QBs must not take account of physical or
financial collateral, guarantees or other credit mitigation techniques to reduce the
Exposure Measure.

b.Total Exposure Measure

The total Exposure Measure is computed as follows:

On-balance sheet exposures

+
Derivative exposures
Exposure Measure =
Securities Financing fralsaction (SFT) exposures

Off-balance sheet (OBS) items

The methods for calculating the Exposure Measure in respect of the above four main
exposure categories are described in greater detail below.
L On-balance sheet
For the purpose of calculating the Exposure Measure, the on-balance sheet
exposure must include all on-balance sheet assets, gross of General Loan Loss
Provisions (GLLP).

On-balance sheet derivatives and SFT assets are not to be included under On-
Balance sheet exposures as they are subject to different treatment.

2. Derivatives
The Exposure Measure for derivative contracts4 consists of an exposure arising
from the underlying of the derivative contract and a counterparty credit risk
(CCR) exposure. In general, the Exposure Measure for derivatives is calculated
as follows:

1
This approach makes reference to the Current Exposure Method (CEM) which is used under the Basel ll framework to calculate the CCR
exposure amounts associated with derivative exposures. The Basel committee is considering alternatives to the CEM. lf an alternative
approach is adopted as a replacement for the CEM, Basel Committee will consider whether that alternative approach is appropriate in the
context of the need to capture both types of exposures created by derivatives.
zlpie"--
 APP.111

Replacement Cost (RC)

Exposure Measure +
Potential Future Exposure (pFE)
for Derivatives
+
Adjustments for Written Credit Derivatives

Where:
RC = Positive mark-to-market value of the contract (or zero if the mark-to-
market value is zero or negative);

PFF = This represents an add-on arising from the potential exposure over
the remaining life of the contract calculated by multiplying the notional
principal amount of the contract to the appropriate potential future credit
conversion factor; and

Adiustments for Written Credit Derivatives = effective notional amount6

referenced by the written credit derivative

In the computation of the pFE, the following add-on factors shall apply to
financial derivatives, based on residual maturity:

lnterest Rate Exchange Rate Equity

Residual Maturity
Contract Contract Contract
One (1) year or less 0.0 percent 1.0 percent 6.0 percent
Over 1 year to five (5) years 0.5 percent 5.0 percent 8.0 percent
Over 5 years 1.5 percent 7.5 percent 10.0 percent

For contracts with multiple exchanges of principal, the factors are to be

multiplied by the number of remaining payments in the contract. For
contracts that are structured to settle outstanding exposure following
specified payment dates and where the terms are reset such that the
market value of the contract is zero on these specified dates, the residual
maturity would be set equal to the time until the next reset date, and in
the case of interest rate contracts with remaining maturities of more than
one (1) year that meet these criteria, the potential future ccF is subject to
a floor of 0.5 percent.

For credit derivatives, which refer to credit default swaps (cDS), total
return swaps (TRS) and credit-linked notes (cLN), two approaches shall be
applied, as follows:

s No potential future credit

exposure shall be calculated for single currency floatingfloating interest rate swaps, the credit exposure on
these contracts would be evaluated solely on the basis of their mark-to-market valuation.
5 For credit derivative
contracts where the stated notional amount differs from the effective notional amount, banks/non-banks must use
the Sreater of the effective notional amount and the notional amount. The effective notional amount is obtained by adjusting the notional
9a9ygto1eft9g1Jr,e_trugexposure of contracts that are leveraged or otherwise enhanced by the structure of the transaction.
3lPage
 APP. 1L1

a) For single-name credit derivatives, a 5.0 percent add-on factor for the
computation of the potential future credit exposure shall be used by
both protection buyers and protection sellers if the reference
obligation is rated as investment grade by at least two credit rating
agencies i.e. rated Baa or higher by Moody's and BBB or higher by
Standard & Poor's. A 10.0 percent add-on factor applies to all other
reference obligations. However, a protection seller in a CDS shall only
be subject to the add-on factor if it is subject to closeout upon the
insolvency of the protection buyer while the underlying is still solvent.
The add-on in this case should be capped to the amount of unpaid
premiums.

b) With regard to multiple name derivatives, where the credit derivative

is a first to default transaction, the add-on will be determined by the
lowest credit quality underlying in the basket (i.e., if there are any non-
investment grade or unrated items in the basket), the 10.0 percent add-
on should be used. For second and subsequent nth-to- default
transactions, underlying assets should continue to be allocated
according to the credit quality (i.e., the second lowest credit quality will
determine the add-on for a second or nth-to-default transaction
respectively). On the other hand, where the credit derivative is
referenced proportionately to multiple obligations, the add-on factor
will follow the add-on factor applicable to the obligation with the
biggest share. lf the protection is equally proportioned, the highest
add-on factor should be used.

Written Credit Derivatives

In addition to the CCR exposure arising from the fair value of the contracts,
written credit derivativesT create a notional credit exposure arising from the
creditworthiness of the reference entity. As such, written credit derivatives
shall be treated consistently with cash instruments (i.e., loans, bonds) for the
purposes of the exposure measure.

In order to capture the credit exposure to the underlying reference entity, the
effective notional amount 8 referenced by a written credit derivative is
incorporated into the Exposure Measure. However, the effective notional
amount of a written credit derivative may be reduced by any negative change
in fair value amount that has been incorporated into the calculation of Tier 1
capital with respect to the written credit derivative. The resulting amount may
be furthered reduced by the effective notional amount of a purchased credit
derivative on the same reference namee, provided:

7
Written credit derivatives refer to credit default swaps, total return swaps and creditlink notes where banks act as tuarantor.
E For credit derivative contracts where the stated notional amount differs from the effective notional amount, banks/non-banks must use
the greater of the effective notional amount from the notional amount. The effective notional amount is obtained by adjusting the
notional amount to reflect the true exposure of contracts that are leveraged or otherwise enhanced by the structure of the transaction.
1
rt9l"lgr"lt"_!gtg_gl19oa{9l:9 !9$9q!_o.{y,f tlgy ref e r to th e sa m e lesa l e ntity.
4lPage
 APP.111

The credit protection purchased on a reference obligation which ranks pari

passu with or is junior to the underlying reference obligation of the written
credit derivative in the case of single name credit derivatives; and
The remaining maturity of the credit protection purchased is equal to or
greater than the remaining maturity of the written credit derivative.

The Exposure Measure of a written credit derivative may be overstated by the

inclusion in the Exposure Measure of both (1) PFE representing counterparty
credit exposure and (2) effective notional amount representing reference
entity exposure. To avoid double counting, a PFE of zero is assigned to a
written credit derivative whose effective notional amount is already included
in the Exposure Measure. Hence, the total exposure measure for written
credit derivatives equals RC and the its corresponding effective notional
amount.

3. Securities Financing Transactions (SFTsf

SFTs are transactions such as repurchase agreements, reverse repurchase
agreements, security lending and borrowing and margin lending transactions,
where the value of the transactions depends on market valuation and the
transactions are often subject to margin agreements.

a. For bank/non-bank acting as principal, the Exposure Measure calculations for

SFTs shall be computed as follows:

Exposure Measure for SFTs = Adjusted SFT Assets + Counterparty Credit Risk Exposure (E)

Where:
Adjusted SFr Assets = the gross SFT assetsl0 recognized for accounting
purposes (i.e., with no recognition of accounting netting) will be adjusted
to exclude the value of any securities received under an sFT, where the
bank has recognized the securities as an asset on its balance sheet11.
Counterporty Credit Risk Exposure (E) = the measure of CCR is calculated as
the current exposure (i.e., without PFE) with respect of the SFT.

The current exposure for transactions with a counterparty must be calculated

on a transaction by transaction basis: that is, each individual SFT is treated as
its own netting set, computed as the difference between the fair value of
securities and cash lentto a counterparty for a transaction and the fair value
of securities and cash received to a counterparty for a transaction. ln other
words, it shall follow the formula:

E = ffrdX,
{0, [Ei- Ci]]
Where:
E = cash and the fair value of securities lent to a counterparty for a
transaction, and

D For SFT assets subject to novation,

"gross SFT assets recognized for accounting purposes" are replaced by the final contractual exposure,
given that pre-existing contracts have been replaced by new legal obligations through the novation process.
11
Gross SFT assets recognized for accounting purposes must not recognize any accounting netting of cash payables against cash receivables

!
g:q:*t! o tls l! !up,'19 4T9 t!! E,sl9$t'g:)j
5lPage
 APP. LLL

G-- cash and the fair value of securities received from a counterparty for a
transaction.
b. lf a bank/non-bank acting as an agent in an SFT provides an indemnity or
guarantee to a customer or counterparty for any difference between the value
of the security or cash the customer has lent and the value of the collateratthe
borrower has provided, the bank/non-bank should include in its Exposure
Measure only the measure for Counterparty Credit Risk Exposure (E).
Otherwise, the treatment when the bank is acting as a principal shall be
applied.

4. Off-balance sheet (OBSI items

The leverage ratio exposure measure for Off-balance sheet (OBS) items is generally
calculated by multiplying the notional amount of the oBS item by a credit
conversion factor (CCF), as follows:
a. 100 percent CCF - this shall apply to OBS securitization exposures except an
eligible liquidityfacility or an eligible servicer cash advance facility, direct credit
substitutes, e.9., general guarantees of indebtedness (including standby letters
of credit serving as financial guarantees for loans and securities) and
acceptances (including endorsements with the character of acceptances) as
follows:
- Guarantees issued other than shipside bonds/airway bills;
- Financial standby letters of credit
b. 50 percent CCF - this shall apply to OBS securitization exposures that qualify
as eligible liquidity facilities 12 and certain transaction-related contingent
items, e.g., performance bonds, bid bonds, warranties and standby letters of
credit related to particular transactions) as follows:
- Performance standby letters of credit (net of margin deposits), established
as a guarantee that a business transaction will be performed;
- Note issuance facilities (NlFs) and revolving underwriting facilities (RUFs);
and
- Other commitments, e.9., formal standby facilities, commitments with an
original maturity over one year and Underwritten Accounts Unsold.

c. 20 percent CCF - this shall apply to short-term self-liquidating trade letters of

credit arising from the movement of goods13, €.g., documentary credits
collateralized by the underlying shipments, such as:
- Trade-relatedguarantees:

- Sight letters of credit outstanding (net of margin deposit);

- Usance letters of credit outstanding (net of margin deposit);
- Deferred letters of credit (net of margin deposit); and
- Revolving letters of credit (net of margin deposit) arising from movements
of goods and/or services; and
- Commitments with an original maturity up to one year.

2 These OBS securitization exposures must meet the definition and minimum requirements under Circular No. 538 dated 4 August
2006.
r3Applied to both issuing and confirming banks

SlPage
 APP.111

d. 10 percent CCF - this shall apply to commitments that are unconditionally

cancellable at any time by the bank without prior notice (i.e., Credit Card
Lines), undrawn servicer cash advances or facilitylo or that effectively provide
for automatic cancellation due to deterioration in a borrower's
creditworthiness.

This shall also apply to those not involving credit risk, as follows:
- Spot foreign exchange contracts (bought and sold)
- Late deposits / payments received;
- Inward bills for collection;
- Outward bills for collection;
- Travelers'checksunsold;
- Deficiency claims receivable; and
- Others.
B. Reporting and Disclosure Requirements
Starting 31 December 2014 and every quarter thereafter until 31 December 2OL6,
concerned banks/QBs shall submit the Basel lll Leverage Ratio reporting template
(Annex l) on both solo and consolidated bases for monitoring. The report shall use the
prescribed forms and submit to the appropriate department of the SES. For the periods
ended 31 December 20L4, 31 March 2015 and 30 June 2OL5, the reports shall be
submitted within 30 banking days from 30 June 2015 on both solo and consolidated bases.
For the succeeding quarters, the report shall be submitted semi-annually, each
submission covering two quarters on both solo and consolidated bases. Report
submission shall be 15 banking days and 30 banking days on solo and consolidated bases,
respectively, from the end of the most recent reference quarter. The report submission
is summarized below:

Report Date Reference Date Deadline of Submission

31 December 2OL4 30 banking days on both solo and
31 March 2015 30 June 2015 consolidated bases from end of
30 June 2015 reference date
30 September 2015
31 December 2015
31 December 2015 15 banking days on solo basis from
3l March 2016 end of reference date and
30 June 2015
30 June 20L6 30 banking days on consolidated
30 September 2016 basis from end of reference date
31 December 2015
31 December 2OL6

Upon migration to a Pillar 1 requirement, the Basel lll Leverage Ratio report shall be
submitted along with the Basel lll CAR report (Version 3)14.

The Basel lll Leverage Ratio reporting template shall be composed of four parts:
o Part | - Calculation of Basel lll Leverage Ratio
o Part ll- Derivative Exposures
o Part lll - Securities and Financing Transactions
o Part lV - Off-Balance Sheet ltems
ralssued under Memorandum M-201+O44 dated 24 November 2014

TlPage
 APP.1L1

In addition to the reporting template to be submitted to the BSP, banks will be required
to publicly disclose their Basel lll leverage ratio on both solo and consolidated bases. The
public disclosure requirements (Annex 2) include:
. a summary comparison table that provides a banks'total accounting assets amounts
and leverage ratio exposures;
. a common disclosure template that provides a breakdown of the main leverage ratio
regulatory elements;
. a reconciliation requirement that details the source(s) of material differences
between banks' total balance sheet assets in their financial statements and on-
balance sheet exposures in the common disclosure template; and
o other disclosures (i.e., material period changes in the leverage ratio from the end of
the previous reporting period to the end of the current reporting period)

The public disclosure requirements could be made either through inclusion of the
requirements in the bank's published financial statements or, at a minimum, provide a
link to the complete disclosures on the banks' websites or publicly available regulatory
reports. An ongoing archive of allthe reconciliation templates, disclosure templates and
explanatory tables relating to prior periods must be made available by banks in their
website or through publicly available regulatory reports. lrrespective of the location of
the disclosure (bank websites or publicly available regulatory reports), all disclosures must
be made according to the defined templates.

At a minimum, three items must be publicly disclosed in the quarterly published balance
sheet: (i)the numerator (Tier L capital); (ii) the denominator (exposure measure); and (iii)
the Basel lll Leverage Ratio.

8lPage
 ANNEX 1
Page 1 of 5

DEADLINE: 15 banking days afier 30 banking days after SUBMISSION: Original copy to th€
end of reference end of reference Supervisory Data Center (SDC)
quarter (solobasis) quarter (consoldialed basis)

FOR UNIVERSAL BANKS/COMMERCIAL BANKS

AND ALL THEIR SUBSIDIARY BANKS/QUASI-BANKS

(Name of Bank) (Code)

BASEL III TEVERAGE RATIO REPORT

of

REPUBLTC OF THE PHtLTPPTNES)

) s.s.

We solemnly swear that all matters set forth in this report and all its supporting schedules
true and correct, to the best of my knowledge and belief.

(Signature of Chief Risk Officer) (Signature of Chief Finance Officer)

(Signature of President/Senior/
Executive Vice President)

SUBSCRIBED AND SWORN TO BEFORE ME this day of

20- affiants exhibiting to me their
Community Tax Certificates, to wit:

Name CTC No. Date/Place lssued

Notary Public
Until December 37, 20
PTR No.
Place

Doc. No.
Page No.
Book No.
Series of
dE
zN
=$4

tr
=
o
E

I E
C
|!
q
o
L

o ll E' o 4t o
CL
(u C c d
<l
c CL
C x
o
e E E E
l
E |rJ
ttl
IJ t f
= E o E o
co U o
(J
o (U (J (J o
U I I I
o =t\ ;(g
os (\ (\ .\t
F
o
c E<
6C,
lJ)
E
rJt
E E E E
o o
&.
cU sE =
o (lJ

=
t/t o
CJ
3
=I
l:
s
cc 0r-
'tt
'(J >E 6
t(! t(! P'- EG =
ts
|! ao
U
-vE
C'1 o(!
dcL
(! r!-
cLt
(!
CL A qU
F
3;
sU
CL d
6
c
CL CL

EI
U

o
o(9 o JI llg
o(
9,8 rc, t/|l l{o
Lq I
(! ol I
v)o
i> 6! c|!
P]
(!
6l
ol !E
cs
-u (J
rl
=
J
!i.i m
r! 6o
o
IA =(u'
E 6l
ol
cl !$
Fh
xt
:i
U fE I oo
ttt ql tC o .: o
L co ol cl
6 9 !o
.o E
o t! f
6 cJl €e
o 'c tl cl bs
ot c|! .1
.! o CL
xo 3
tA .s' E
t!
(, E (! di 6
E
q, o ; o
c to
EO
Iq
.9
go ao
o -c
(!
c E
o o XE
4 N o
6 J
o coo sS
uI o E .g =
o tt
E}
t! o
t
Ei 3
6
o
ci o
x 6
3
= T'
th

o .g
o
=
(!=
E.Y
trfi
E
|!
(!
c
g
!0
o
a 6 IA
o o E
o |! t6
o
.9
si
d:
zG o
o d
I
slE co c c o
a!
E
ur
=
rh o
E o E c o o
o o
= ho
o.E o
L'
C
g^ -c rV, UJc
F x I ss
.se
I s0 .:o PE o
o) .=
xo l! oP E oq
CO
lt
o
ah
ul o
(, o f o 6o
so)
E.Z
o riq
a(n
3
0 o o
o
tb
z cD c o IJ P
I .gd o 6 -c
G,
AE
{-
o lrt (!
E ,h so E
G c =|E
6.= o
€s o q
o ta
tq o
UJ
(J'
co
D
v, |! CL ul !c Ic
q,

(!
t .z o
o o E
EO
.!tt
hr U
!t> l3 F Fuvl o g
o
c 0c
ul s$
o
3.> It
o |! o IJ OE trts
=
I
lrl U
=
!u |!
! o(! * 6
x
o llo lrl ho
E\
F{
4 G lt J |E
;.ts lg d o 6
tI *o
I
.:
=
F
q)
F =
,h
o
bT

c,
CL
o e o o o
o & <3 EO
<! lP r (9 (J
=
ul
QJ6
PE
OF
E
E
go
4
IJ
4
xu,l ln
I
N n c.l c! n c!
th
6
8t
6:

(D0
4 d 4 aa; a6
In N
t-.1
co 6
a\
co
c!
6
(\l
co
(vl
o
fi'!
co
(n cf
di 6 Li >\
€r,t
6i
Z ;g3
E E* t= E; iE$ $ c;t
arr
za)
<FA 5v

i
EA
jrts9
F iu isF e Eti
t$ EF
o

.? ox cEt3$i$iFi$E€Fg
i As
E 8.u
t;g
q
B iEF sE tfsr'! E isi
s-9
.g .g t+
ecu
9gp i
$ x *!1 sq s $
: sul x s E E
x
I
so x iii€iEE$EiisiEIF
F F$: $E $ii$Eg E sti
5 Fii ;i $sF:tF t ii'E
eo E x c
oq E
<f

; 'l-b^
.q
-EO t r E$ uE $FiEtl t iEI
gi sE te sSEIF$
EE:E=
F
-s
oi
g F_
- $ tgE
Be
c

E: !$EsiE;$g$!$g€*$
s !rF it !
€:o
2E
E E s$ iE itlFtg E tE!
iEE€EiF$$EEFEgi$
F
:" $iF:i i:rrir r iti
G

!c
o
E3
oo
eS (
g> I
I
4
( !
- d
G
c

{
@
E
c E
o

c
o
G

o c
(
o o
a o
d o
z6 d
c o
td
c
3
o
c o
G
o o o tq !o
h n n
g o
o
o G o o C e
o o o 0 q c o o
o C a 6 H
o 0 E a g (
q o
o o cG c
o ( co E
o G G
c t a
( o
q D o G
q o o o
o o o o o o
6 0 q C
o C @
( E o
o o c m C
o
E c E E q C E
E <t
E
o o c o E o C 2
o c o o
c .= '=
o
'= = 'E .= = : E
o o
I o
t = 6 o E
o
o
: C
c .E o
Ix o
G
E E
E
@

G
C
E
6
E
E
E E
E '6
c
o E
c
o Io
c o
E o 6
o a

o a i 5 E o 60 (9 o
:
'd '6 p p t'a
I E C
o
I
o o o o (o E o
'a
o o
E G 'd
o o
6 q o o
c
e o o
o
EG
o o o G fi o o o
G G
E
G
( o @
t6
a o q z : 6
.:
U
o o ;; G =
B 3 3 =
3 ; 3
q
3 G 3 o
= j
d d u d d d u0 r=i d 9
;E o

4
o I
\; \ \ b.
6b
zl'
Ztu
<H
A.
tt
9^
Ec
\ ,E-.
p1g (
e
t
= -cr
6= 0)
€
o+
a\
o_^
X(!
|!-
tl EqJ
(J
sa-
BF$E E
F
E
E
q)
L

o^
\
tr
q.,

o
gtEgt
o- -o ss
llJ \r a-
e(\ Gl
s
=P
IY OJ s
,-6
>(! s
o
IF
6l!
d(,
oo
LL
e
(J
u
tr $FBiE
c
5
o
U
ts
.e
gl
IE
.E eE
;iF q,
E.Eg 6

F He g ]-
lJ-
t
o
EE= 14

o-
U
cE
o
iggt
O i+
P
\El
d
JE
EK HF:
r-E.o
(J
()
dd
+U
o(9 6 g
o{ ='e.
ccE
b{ EgH .E

zG 6'E tr
J o
q
lq€
g
qJ EEt$EEi
=
IJ
vl to
00 lu
IP
.ol l€ts
ol l0Jr\,
o IlBl
o I.S
.A
UJ
E
3
ts
G .A l3
t=
o
4
a o
o lBl
t1^
l:
x
ur E o tg
vl CL l€
z ttc xo ld
I(J |!
ll IO
IE
o .h IOJ
.a E
E
Il)
o .^ E
z tr
o =
.h
o
c, E
E b0
c o
(J,
o
ta '=
1
g
z tr
o o
L F
|!
(J
z a! ta
o
.ct
ho
g
E c tt bl 9
c
= co oE
I
|! .;c |!
th o u! o( .s
|rI .E o o
.= ll
t! o,t L
€c Ec o vlo
E Itg (E
I |! o o o co
J .:
t,
l! t
tt,
(! o (u 3
o .9 P I
.h o .c o
'tr vl
L) o
L 5
to CJ
f u G
= = = o

EiiiiEi
I= o 0., co (l, o tn
o E
an
q o
OE .A .-: .-: F
B ni .cl ^i
dE
z6
zo
<P
A

c,
q=
R9
B

:e
u
:\ ;!
c 5 :r
c ;s
br
o d x d $ * $ $
sN x s
E
a
o
x s x
E e >s
o $ B{
o d E c
* be
6
x x
-
U
u N 6 N n v V E E

-EEB
3.E
, EE

o
o
G

r o
o
o
0 E
o
= =
3 q
.9
u
o
o
G
E c
g
o
:tr
:<
C o
o o
d4 o
o(9 o
o<
.E c z@
c @ G
E3 +
o
o o
le q
@
=
t
(
I
( o
o o
o o
E
o ! F g
E 0
( c @
E q
d
o u
f d o
zG o o
G
G

( o
) o 0
e
o
d
T
e
o 3c .9 ]
o o
c e F q
E
E o
!
o
I o o €
E
o
E
s
( { o
o 0
E o 1t
( E .n
G o
( o c E
o e o g o o
a ( o
G ( o o : o
G E c
E o 6 o G
G o o
c c
u
e d
o d c o t o I o o ! o 4 E
c E = c C
o o I
c c
c o o t I
I
o
{ E ! o t
o
4 c o T c c t o
E tr C G
E
o c q
G ! g
xq g i I 0
'd
t E
c e
q E E c Io E
!
G
.!
o
I ! ,vl
Y I
c G
F c
a c o e
o
G I
E I o
6
o
u C
s
t E ( I
G o
o t c o
U I !
c
-I 4
J
J o
E
x
F
o L
x
o q
! o =
'd o
$ o
0
0
c c o
o
c
3
(-
d J
I
J
C u
o .E o }R
o
cgl
c
{c to o
3 o s{,
q
u e i Ic c .g c c o 3
- u
G ( u c
s
c
q
E
6
o
.g c
a
q I E V o o
E E C o
U o
c Eq
o c
g o
r
u
o
o o
o
! s
q
t g c E E
o
!
; e o E
o
] 3 E
E ., g o ! !
z E d a a T c U c o o c -g .9 .s E
3 o q e
E E c I
c !q E
g
o
i =q Iq o
!g j
!
c : c L J
c E E
o E
o
o
E
o o
F G G
E
I
6 sG c e c c
o I
g
L L o e
1
.: i {q G o o
U
E e =
o _g
o C
+
c
tiB
o * E
g
o
c
q
j ; 3 .:
c
c
a
t
{o o
! t
o
C o
e
.q o U
0
I q
E
o
o q
v
c
g = I
E
o o
C
E c e d l4 o q c o 0 o ii
c U t o o c F F f G a d L z G u c
-o
G

F
o c € F q c 6 6
o
!
t
F E
c o
A
 ANNEX 2
Page 1 of 3

BANK NAME
Summary comparlson of accounting assets vs leverage ratlo exposure measure
As of_
Amounts in Million Pesos

1 Total consolidated assets as per published financial statementsv

2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated
z
for accounting purposes but outside the scope of regulatory consolidation
3 Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting
framework but excluded from the leverage ratio exposure measure
/
4 Adjustments for derivative financial instruments
5 Adjustments for securities financial transactions (i.e., repos and similar secured lending)
6 Adjustments for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance
sheet exposures)

1/ Refers to total on-balance sheet assets per quarterly published balance sheet
2/ Not included under the framework
3/ Sum of ltems 1 to 7. Should be consistent with item 21 of the Basel lll Leverage Ratio Common Disclosure Template
 ANNEX 2
Page 2 of 3

BANK NAME
Basel 1ll Leverage Ratlo Common Dlsclosure Template
As of_
Amounts in Million Pesos; Ratios in Percent

Leverate Ratlo
Frameworl

7 On-balance sheet itemst/

2 (Asset amounts deducted In determining Basel lll Tier l Capital!

4 Replacement Cost associated with all derivatives transactions

5 Add-on amounts for Potential Future Exposure associated with all derivative transactions
6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant
to the operative accounting framework2/
7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions)v
8 (Exempted CCP leg of client-cleared trade exposures)2/
9 Adjusted effective notional amount of written $edit derivatives
10 (Adjusted effective offsets and add-on deductions for written credit derivatives)

12 Gross SFT assets (with no recognition of netting)

13 (Netted amounts ofcash payables and cash receivables ofgross SFI assets)2/
14 CCR exposures for SFT assets

L7 Off-balance sheet exposure at gross notional amount

18 (Adjustments for conversion to credit equivalent amounts)

I,/ GrossofGeneralLoanLossProvision(GLLP)andexcludingderivativesandSFTs
2/ Not included under the framework
3/ When a bank/non-bank acting as an agent in an SFT provides an indemnity or guarantee to a customer or counterparty for any
difference between the value of the security or cash the customer has lent and the value of the collateral the borrower has
provided
 ANNEX 2
Page 3 of 3

Explanatory Table for Common Disclosure Templatel/

Item
1 On-balance sheet assets according to ltem A.2.b.1.
2 Deductions from Basel lll Tier 1 capital determined by ltem A.1 paragraph 2 excluded from the leverage
ratio exposure measure, reported as negative amounts.
3 Sum of lines 1 and 2.
4 Replacement Cost (RC) determined by ltem A.2.b.2.
5 Add-on amount for all derivative exposures according to ltem A.2.b.2 naraeraphs 2-4.
9 Adjusted effective notional amount (i.e., the effective notional amount reduced by any negative change in
fair value) for written credit derivatives according to ltem A.2.b.2 parag .

10 Adjusted effective notional offsets of written credit derivatives according to paragraph ltem A.2.b.2
parasraohs 5-5 and deducted add-on amounts relating to written credit derivatives according to ltem
A.2.b.2 oaraaraphT, reported as negative amounts, if applicable.
11 Sum of lines 4 - 10.
72 Gross SFT assets with no recognition of netting other than novation
as set out in footnote 9, removing
certain securities received as determined by ltem A.2.b.3.a.
13 Cash payables and cash receivables of gross SFT assets netted according to ltem A.2.b.3.a, reported as
negative amounts.
!4 Measure of counterparty credit risk for SFTs as determined by ltem A.2.b.3.a.
15 Agent transaction exposure amount determined according to ltem A.2.b.3.b.
16 Sum of lines 12-15.
17 Total off-balance sheet exposure amounts on a gross notional basis, before any adjustment for credit
conversion factors according to ltem A.2.b.4.
18 Reduction in gross amount of off-balance sheet exposures due to the application of credit conversion
factors in ltem A.2.b.4.
19 Sum of lines 17-18.
20 Tier 1 capital as determined by ltem A.1.
2l Sum of lines 3, Ll, t6 and 19.
22 Basel lll leverase ratio according to

7/ lndividual banks/QBs need not disclose the explanatory table.

2/ Only items which are applicable are retained from the BIS prescribed template. However, row numbering remains
unchanged for easy mapping with the BIS prescribed template.
3/ Refers to appropriate items in the Guidelines on the lmplementation of the Basel lll Leverage Ratio Framework
(Appendix 111).
 APP. Q-65

GUIDETINES ON THE IMPLEMENTATION OF THE

BASET III TEVERAGE RATIO FRAMEWORK

The BSP will adopt a leverage ratio framework that is designed to act as a credible
supplementary measure to the risk-based capital requirements. The leverage ratio
intends to:
o Restrict the build-up of leverage in the banking sector to avoid destabilizing
deleveraging processes which can damage the broader financial system and the
economy; and
o Reinforce the risk-based requirements with a simple, non-risk based "backstop,,
measure.

This framework is largely based on the document issued by the Basel Committee on
Banking Supervision ("Basel Committee" or "BCBS") released in January 2014 entitled
"Basel lll Leverage Ratio Framework and Disclosure Requirements,,.

A. Definition, Minimum Requirement and scope of Application

Leverage ratio is defined as the capital measure (the numerator) divided by the exposure
measure (the denominator), expressed as a percentage:

Tier 1 Capital
Basel lllLeverage Ratio (%) =
Exposure Measure

The leverage ratio shall not be less than 5.0 percent and will be applied to all universal
and commercial banks (U/KBs) and their subsidiary banks/quasi-banks (eBs) computed
on both solol and consolidated2 bases, similar with the capital adequacy framework, i.e.,
computed on a daily basis and reported on a quarterly basis.

1. Capital Measure
The capital measure for the leverage ratio is Tier 1 capital calculated in accordance with
Circular No. 781dated 15 January 20L3.

Tier 1 capital should be net of regulatory deductions3 applicable to Tier 1 capital. ltems
that are deducted completely from capital do not contribute to leverage, hence, should
also be deducted from the exposure measure.

1
Pertains to the reporting entit/s head office and branches
2 Pertains to the reporting entity and its financial allied subsidiaries except insurance companies that are required to
be consotidated on a
line-by-line basis for the purpose of preparing consolidated financial statements
3 Refers
to Regulatory Adjustments to cETl capital (ltems A.z.Lto A.2,241and Regulatory Adjustments to Additional Tier (AT1)
1 capitat
(Qualifying capital) of the Basel lll cAR remplate (Version 3).
!1!9llll:!_t9.as:8191-!al-t]l
llPage
 APP. Q-65

2. Exposure Measure

a. General Measurement Principles in respect of the Exposure Measure

U/KBs and their subsidiary banks/QBs should generally follow the accounting value
of exposure for the purposes of calculating the Exposure Measure for the leverage
ratio, except that:

o On-balance sheet, non-derivative exposures are to be included in the Exposure

Measure net of specific provisions; and
o Netting of loans and deposits is not allowed.

U/KBs and their subsidiary banks/QBs must not take account of physical or
financial collateral, guarantees or other credit mitigation techniques to reduce the
Exposure Measure.

b. Total Exposure Measure

The total Exposure Measure is computed as follows:

On-balance sheet exposures

+
Derivative exposures
Exposure Measure = +
Securities Financing Transaction (SFT) exposures

Off-balance shlet (oeS) items

The methods for calculating the Exposure Measure in respect of the above four main
exposure categories are described in greater detail below.
1. On-balance sheet
For the purpose of calculating the Exposure Measure, the on-balance sheet
exposure must include all on-balance sheet assets, gross of General Loan Loss
Provisions (GLLP).

On-balance sheet derivatives and SFT assets are not to be included under On-
Balance sheet exposures as they are subject to different treatment.

2. Derivatives
The Exposure Measure for derivative contractsa consists of an exposure arising
from the underlying of the derivative contract and a counterparty credit risk
(CCR) exposure. In general, the Exposure Measure for derivatives is calculated
as follows:

. This approach makes reference to the Current Exposure Method (CEM) which is used under the Basel ll framework to calculate the CCR
exposure amounts associated with derivative exposures. The Basel Committee is considering alternatives to the CEM. lf an alternative
approach is adopted as a replacement for the CEM, Basel Committee will consider whether that alternative approach is appropriate in the
context of the need to capture both types of exposures created by derivatives.
2lPage
 APP. Q-65

Replacement Cost (RC)

+
Exposure Measure
Potential Future Exposure (PFE)
for Derivatives
t
Adjustments for Written Credit Derivatives

Where:
RC = Positive mark-to-market value of the contract (or zero if the mark-to-
market value is zero or negative);

PFF = This represents an add-on arising from the potential exposure over
the remaining life of the contract calculated by multiplying the notional
principal amount of the contract to the appropriate potential future credit
conversion factor; and

Adjustments for written credit Derivotives = effective notional amount6

referenced by the written credit derivative

In the computation of the PFE, the following add-on factors shall apply to
financial derivatives, based on residual maturity:

Interest Rate Exchange Rate Equity

Residual Maturity
Contract Contract Contract
One (1) year or less 0.0 percent 1.0 percent 6.0 percent
Over 1 year to five (5) years 0.5 percent 5.0 percent 8.0 percent
Over 5 years 1.5 percent 7.5 percent 10.0 percent

For contracts with multiple exchanges of principal, the factors are to be

multiplied by the number of remaining payments in the contract. For
contracts that are structured to settle outstanding exposure following
specified payment dates and where the terms are reset such that the
market value of the contract is zero on these specified dates, the residual
maturity would be set equal to the time until the next reset date, and in
the case of interest rate contracts with remaining maturities of more than
one (1) year that meet these criteria, the potential future ccF is subject to
a floor of 0.5 percent.

For credit derivatives, which refer to credit default swaps (cDS), total
return swaps (TRS) and credit-linked notes (cLN), two approaches shall be
applied, as follows:

s No potential future credit exposure

shall be calculated for single currency floatinlloating interest rate swaps, the credit exposure on
these contracts would be evaluated solely on the basis of their mark-to-market valuation,
6 For
credit derivative contracts where the stated notional amount differs from the effective notional amount, banks/non-banks must use
the greater of the effective notional amount and the notional amount. The effective notional amount is obtained by adjusting the notional
1!I|o-y_l!
to j9!g9!th9 !!_e_g1qos_yje 9f gntll*: th"t-a-re_leveraged or otherwise enhanced by the structure of the transaction.
3lPage
 APP. Q-65

a) For single-name credit derivatives, a 5.0 percent add-on factor for the
computation of the potential future credit exposure shall be used by
both protection buyers and protection sellers if the reference
obligation is rated as investment grade by at least two credit rating
agencies i.e. rated Baa or higher by Moody's and BBB or higher by
Standard & Poor's. A 10.0 percent add-on factor applies to all other
reference obligations. However, a protection seller in a CDS shall only
be subject to the add-on factor if it is subject to closeout upon the
insolvency of the protection buyer while the underlying is still solvent.
The add-on in this case should be capped to the amount of unpaid
premiums.

b) With regard to multiple name derivatives, where the credit derivative

is a first to default transaction, the add-on will be determined by the
lowest credit quality underlying in the basket (i.e., if there are any non-
investment grade or unrated items in the basket), the L0.0 percent add-
on should be used. For second and subsequent nth-to- default
transactions, underlying assets should continue to be allocated
according to the credit quality (i.e., the second lowest credit quality will
determine the add-on for a second or nth-to-default transaction
respectively). On the other hand, where the credit derivative is
referenced proportionately to multiple obligations, the add-on factor
will follow the add-on factor applicable to the obligation with the
biggest share. lf the protection is equally proportioned, the highest
add-on factor should be used.

Written Credit Derivatives

In addition to the CCR exposure arising from the fair value of the contracts,
written credit derivativesT create a notional credit exposure arising from the
creditworthiness of the reference entity. As such, written credit derivatives
shall be treated consistently with cash instruments (i.e., loans, bonds) for the
purposes of the exposure measure.

In order to capture the credit exposure to the underlying reference entity, the
effective notional amount 8 referenced by a written credit derivative is
incorporated into the Exposure Measure. However, the effective notional
amount of a written credit derivative may be reduced by any negative change
in fair value amount that has been incorporated into the calculation of Tier 1
capital with respect to the written credit derivative. The resulting amount may
be furthered reduced by the effective notional amount of a purchased credit
derivative on the same reference namee, provided:

7
Written credit derivatives refer to credit default swaps, total return swaps and creditlink notes where banks act as guarantor.
8 For credit derivative contracts where the stated notional amount differs from the effective notional amount, banks/non-banks must use
the greater of the effective notional amount from the notional amount. The effective notional amount is obtained by adjusting the
notional amount to reflect the true exposure of contracts that are leveraged or otherwise enhanced by the structure of the transaction.
'rygr*'9ry:I319l:19 cor'{_d_et_e,9_gei!i9919{yilgaigl,el]gth" t9r9 t9_e_r9$ry.
4lPage
 APP. Q-65

o The credit protection purchased on a reference obligation which ranks pari

passu with or is junior to the underlying reference obligation of the written
credit derivative in the case of single name credit derivatives; and
o The remaining maturity of the credit protection purchased is equal to or
greater than the remaining maturity of the written credit derivative.

The Exposure Measure of a written credit derivative may be overstated by the

inclusion in the Exposure Measure of both (1) PFE representing counterparty
credit exposure and (2) effective notional amount representing reference
entity exposure. To avoid double counting, a PFE of zero is assigned to a
written credit derivative whose effective notional amount is already included
in the Exposure Measure. Hence, the total exposure measure for written
credit derivatives equals RC and the its corresponding effective notional
amount.

3. Securities Financing Transactions (SFTs)

SFTs are transactions such as repurchase agreements, reverse repurchase
agreements, security lending and borrowing and margin lending transactions,
where the value of the transactions depends on market valuation and the
transactions are often subject to margin agreements.

a. For bank/non-bank acting as principal, the Exposure Measure calculations for

SFTs shall be computed as follows:

Exposure Measure for SFTs = Adjusted SFT Assets + Counterparty Credit Risk Exposure (E)

Where:
Adiusted SFT Assets = the gross SFT assetslo recognized for accounting
purposes (i.e., with no recognition of accounting netting) will be adjusted
to exclude the value of any securities received under an SFT, where the
bank has recognized the securities as an asset on its balance sheet11.
Counterporty Credit Risk Exposure (E) = the measure of CCR is calculated as
the current exposure (i.e., without pFE) with respect of the SFT.

The current exposure for transactions with a counterparty must be calculated

on a transaction by transaction basis: that is, each individual SFT is treated as
its own netting set, computed as the difference between the fair value of
securities and cash lentto a counterparty for a transaction and the fair value
of securities and cash received to a counterparty for a transaction. In other
words, it shallfollow the formula:

E = max, {0, [Ei- Ctl]

Where:
E = cash and the fair value of securities lent to a counterparty for a
transaction, and

to For sFT assets subject to novation, "gross

SFT assets recognized for accounting purposes" are replaced by the final contractual exposure,
given that pre-existing contracts have been replaced by new legal obligations through the novation process.
11
Gross SFT assets recognized for accounting purposes must not recognize any accounting netting of cash payables against cash receivables
("f: yl9g. tEj!!'pql_" Accountins standards).
5lPage
 APP. Q-65

Ci= cash and the fair value of securities received from a counterparty for a
transaction.
b. lf a bank/non-bank acting as an agent in an SFT provides an indemnity or
guarantee to a customer or counterparty for any difference between the value
of the security or cash the customer has lent and the value of the collateral the
borrower has provided, the bank/non-bank should include in its Exposure
Measure only the measure for Counterparty Credit Risk Exposure (E).
Otherwise, the treatment when the bank is acting as a principal shall be
applied.

4. Off-balance sheet (OBS) items

The leverage ratio exposure measure for Off-balance sheet (OBS) items is generally
calculated by multiplying the notional amount of the oBS item by a credit
conversion factor (CCF), as follows:

a. 100 percent CCF - this shall apply to OBS securitization exposures except an
eligible liquidity facility or an eligible servicer cash advance facility, direct credit
substitutes, e.9., generalguarantees of indebtedness (including standby letters
of credit serving as financial guarantees for loans and securities) and
acceptances (including endorsements with the character of acceptances) as
follows:
- Guarantees issued other than shipside bonds/airway bills;
- Financial standby letters of credit
b. 50 percent CCF - this shall apply to OBS securitization exposures that qualify
as eligible liquidity facilities 12 and certain transaction-related contingent
items, e.g., performance bonds, bid bonds, warranties and standby letters of
credit related to particular transactions) as follows:
- Performance standby letters of credit (net of margin deposits), established
as a guarantee that a business transaction will be performed;
- Note issuance facilities (NlFs) and revolving underwriting facilities (RUFs);
and
- Other commitments, e.g., formal standby facilities, commitments with an
original maturity over one year and Underwritten Accounts unsold.

c. 20 percent CCF - this shall apply to short-term self-liquidating trade letters of

credit arising from the movement of goods13, €.g., documentary credits
collateralized by the underlying shipments, such as:
- Trade-relatedguarantees:

- Sight letters of credit outstanding (net of margin deposit);

- Usance letters of credit outstanding (net of margin deposit);
- Deferred letters of credit (net of margin deposit); and
- Revolving letters of credit (net of margin deposit) arising from movements
of goods and/or services; and
- Commitments with an original maturity up to one year.

2 These OBS securitization exposures must meet the definition and minimum requirements under Circular No. 538 dated 4
August 2fi)6.
aapplied to bot!,:trl,lg g_q
:9l!t!1!.s lAF
6lPage
 APP. Q-55

d. L0 percent CCF - this shall apply to commitments that are unconditionally

cancellable at any time by the bank without prior notice (i.e., Credit Card
Lines), undrawn servicer cash advances or facilitylo or that effectively provide
for automatic cancellation due to deterioration in a borrower's
creditworthiness.

This shall also apply to those not involving credit risk, as follows:
- Spot foreign exchange contracts (bought and sold)
- Late deposits / payments received;
- Inward bills for collection;
- Outward bills for collection;
- Travelers'checksunsold;
- Deficiency claims receivable; and
- Others.
B. Reporting and Disclosure Requirements
Starting 31 December 2014 and every quarter thereafter until 31 December 20t6,
concerned banks/QBs shall submit the Basel lll Leverage Ratio reporting template
lAnnex I) on both solo and consolidated basesfor monitoring. The report shall use the
prescribed forms and submit to the appropriate department of the SES. For the periods
ended 31 December 2OL4, 31 March 2015 and 30 June 2OI5, the reports shall be
submitted within 30 banking days from 30 June 2015 on both solo and consolidated bases.
For the succeeding quarters, the report shall be submitted semi-annually, each
submission covering two quarters on both solo and consolidated bases. Report
submission shall be 15 banking days and 30 banking days on solo and consolidated bases,
respectively, from the end of the most recent reference quarter. The report submission
is summarized below:

Report Date Reference Date Deadline of Submission

31 December 2Ot4 30 banking days on both solo and
31 March 2015 30 June 2015 consolidated bases from end of
30 June 2015 reference date
30 September 2015
31 December 2015
31 December 2015 15 banking days on solo basis from
3l March 2015 end of reference date and
30 June 2016
30 June 2016 30 banking days on consolidated
30 September 2016 basis from end of reference date
31 December 2016
31 December 2016

Upon migration to a Pillar 1 requirement, the Basel lll Leverage Ratio report shall be
submitted along with the Basel lll CAR report (Version 3)1a.

The Basel lll Leverage Ratio reporting template shall be composed of four parts:
o Part | - Calculation of Basel lll Leverage Ratio
o Part ll- Derivative Exposures
o Part lll - Securities and Financing Transactions
o Part lV - Off-Balance Sheet ltems
lalssued under Memorandum M-20121-(X4 dated 24 November
2014
TlPage
 APP. Q-65

In addition to the reporting template to be submitted to the BSP, banks will be required
to publicly disclose their Basel lll leverage ratio on both solo and consolidated bases. The
public disclosure requirements (Annex 2) include:
o a summary comparison table that provides a banks'total accounting assets amounts
and leverage ratio exposures;
. a common disclosure templatethat provides a breakdown of the main leverage ratio
regulatory elements;
. a reconciliation requirement that details the source(s) of material differences
between banks' total balance sheet assets in their financial statements and on-
balance sheet exposures in the common disclosure template; and
o other disclosures (i.e., material period changes in the leverage ratio from the end of
the previous reporting period to the end of the current reporting period)

The public disclosure requirements could be made either through inclusion of the
requirements in the bank's published financial statements or, at a minimum, provide a
link to the complete disclosures on the banks' websites or publicly available regulatory
reports. An ongoing archive of all the reconciliation templates, disclosure templates and
explanatory tables relating to prior periods must be made available by banks in their
website or through publicly available regulatory reports. lrrespective of the location of
the disclosure (bank websites or publicly available regulatory reports), all disclosures must
be made according to the defined templates.

At a minimum, three items must be publicly disclosed in the quarterly published balance
sheet: {i)the numerator (Tier 1 capital); (ii)the denominator (exposure measure); and (iii)
the Basel lll Leverage Ratio.

8lPage
 d:l'ill
DEADLINE: 15 banking daysafter 30 banking days after SUBMISSION: Original copy to the
endofreferenceendofreferencesupervisoryDatacenter(SDc)
quarter(solo basis) quarter(consoldiated basis)

FOR UN IVERSAL BANKS/COMMERCIAL BANKS

AND ALL THEIR SUBSIDIARY BANKS/QUASI-BANKS

(Name of Bank) (Code)

BASET III TEVERAGE RATIO REPORT

of

REPUBLTC OF THE PHILIPPINES)

) s.s.

We solemnly swear that all matters set forth in this report and all its supporting schedules
true and correct, to the best of my knowledge and belief.

(Signature of Chief Risk Officer) (Signature of Chief Finance Officer)

(Signature of President/Senior/
Executive Vice President)

SUBSCRIBED AND SWORN TO BEFORE ME this day of

20 , affiants exhibiting to me their
Community Tax Certificates, to wit:

Name CTC No. Date/Place lssued

Notary Public
Until December3l, 20
PTR No.
Place

Doc. No.
Page No.
Book No.
Series of
6E
ZN
Zo)
<Hc

c
J
o
E

6
E (u

ro !t
(!
(! .ct o
o
o
ll
C c d c c CL
x
cc.
<l E E lrJ
o E E :f tn
9 E f E
c IJ o E (u E o co
(J (J o
g Ll L)
o =t\ I ;(!
I

rn tn oc N 6l N
F
&,
o
OE E<
NE E trE E
q)
E E
o
0)
009
E=
z(u gc, rrO
r(J = = = q,
IJ
d. o- I
>:
z,=o 'tt tr! = P'-: ;(! E(! -c 6
o
O(!
do- CL
L
|! |! h4
cL sf
|!
o- qg
E
=k
.5d
sU
CL
6
CL CL CL
E
o|9 c E o
cr{
>u
=4
S>
.9
(,
(!
t^
tl
o
(!
t
ta
0
f$
(^O
E-
AU
J o
rl c|! o
o c9
tr\
o .= 5
E
:
lrJ
ci
u,
(r!
N o
q6
|!
o
6
o
e s$
v, rt 3 o o
I x o!
c -Eg
.ee
co Il- !o .s
E E
o P
t! f
6
tr
o
o
P
q) s*
.z o E c
c la
ol
l!
(, E
G
(r!
di
N !to
o
CL
xo)
=
o c o
c o
€s
!q
go E |! OJ .9
.9 srt
a
OE
q 6
o
o s.ts f c
f
IJ
G .: o
dE
a.l

UJ o f E 5 o t, st
UJ o
t
@

!i ox
at
o
CI
=
ah
3
E(l,
trc .9f.i
E
|!
c
g
ot
o
I
Q.|
o g
a^ o ;T
-{l
|!
z o .g
a^
gE t!
c !0
cg o (! t
6
.9
|!
6s
t!
= o 6 q 3 Io o! o c o 0c
tt o
E o E tr a^
o-h c.; q.F BS
q) o o C x 'se
to I 4 o
th o .t:
o (E
xo
gL
oP c E. t!
v, UI o
E so)
II
o ut o
I o
9
o o 8.>
o ii rl
o lr! 6 € o
o SE
g 'r:
z 6 g q,
.z I .9 ci o tao s
oc

o ul g € IJ
o .tss 0 .A t!
(' o=
{\
OE
D .g
lg vl G 6o
,o ()
o c o.= ?o o
q (,
.E EO
=
5
ta CL
()|!
Iu
c
o s|!
I
c Lo o E
o
@
EOJ
(!tt E> 6t! F o tr
(uE ,E '1 vl o g c,
ut s$
lrJ |! o g o(o .l* x ots
:i> J(rr 6IA o !a!
l= g (!
I= = c) D
rl
E t! .0 OI
o o
l! CL
;.= tto
gd o cc
(J eL
ut
EE
(h o o
q,
I tr o c. oc <3 <! Ob
FO {9 L) o BS
A rx ul
=
tn qH
E
E
o E F{
ut n a,l
el N
n
c!
c.l
..1
frl
(\ m .i f! q
c!
o €E
|o0
4 a 4 ci lo lli Iri 6 co co .ri a6 co d c6 ri \\
d t)
ilE
Z(n
Zo
<FG 9s
EI
Fg
oil

!e
o
E> g
g,it$sglgFgsggg
.? ox
=5o
'E On
t rg
co-
4

g_11
oor
oca s !l4 s $ $ ;l !e * $ xc s so
9Ee
qo - c o n ui F
h
q
E
o
oq E
<t
-:E
fi--
o:
iigigiiiss$giigg
;3,Ea
I8-
H;.
-E
ae
i 5 Ei iE EFi$FE F ii.
9r
'ix E^ tls$$iF$$$t$g€€$
.Eds
Eis$iE$E€FiieFii
stE€iEF$Fis$Fii$
E
c
el
t sFI Et i
r- ol
E3
oo
|

|
I
€u$F$iE*$$E$$E$iE
d<
ad | t-
I l:=
iE I
!
c
{
6
=t
6
G

-'-s
E

;
!J

o
E
go

0
o o
.2 o
o o
o
o
o 6
@
o
zo @
o
6 o
o 3
o

o o o
o E =o
n o o
E o o
o o .i o
o
: G o o 6
6
c
o
q
o o o o o I o o
o
q g c n c.i
6
o g n o 6 o o
G 6 o 6 E
6 c o o o G
l' G @ o
E o e O
o .:o o 0 O o o o ! o o
=o -
o
E E
o o o o o
.9 q o o o o
E
E
;l o o E
o o E
rf
o
o
E
o
E E @ G
3 *
t o E o o
c
l =l
ol
i '-
5
'i 'c
c o!
o o E
'tr tr ?- o 6
U o
d e
E
t
o
-
o o tl E
@ o c
q o E l
c o
6 o x
xg o
;l 6 E I
6
6 6 i o o o G o c U
o (9 c 6o I o
U EI p o o o
d o o
@
o FG
o ol =
9) o o s qJ o =o o q o 6 o o o
F o
G ol o o o G o o o ; o o
a
o
o
o1
@
o
=
?-
o o

3
o oG 6
.; '- .:
o
o @
6 3 3 ; ;
t
1l ci
EI = :l d = =G o
j
'I rt q d != o
o
G o I
A j
\; \ b. b.
6b P:
F gtt ;
zri
e$o 6
9^
=-o
o+
*a'
(u-tl
so SsFnE t
EiE* $ :
o
L

=
IFEEEE
6
o^
cL -O

Ft t:fr
|rJ\
.eN
TS E
on
!v o)

>h(o
fr-
nI
O(^
g€
s$F$i E
c
5
o $ssF$ g
F FE E E F
(J

€eP
riE iEHS*
g8E€E €*
E"EF F$ $EE E
F
G
o
CL
U
E,
EE5
igPo
? $F
;i F*P o E E EE
o o:s
JE
FS HF:
r'F.E
rsstEEE
EBE
:E
slJ
o(9 ttt IU$F EE
o(
c, cc
!t!
a>
8gH
='=

rStE i€ € gF € F s E
-u J o l*sEEEt Ee
ll'l
=
ttl IE E I p Ti ; E
co
l€ts H g E $ :
lsT$i*E Ei
.a
l!
lS;iHE+ s€
E
D IETS.X s:F SE
,A
o
4
x
UJ
ttl
z
o
f.,
ta
z
E
F
(9
z(J
z
z
IIiiiiEii
II
.h
ur

a
D
(J
ul
ta

=
0t
o lEiii$iiE
ilt
z5
zo
A

q) E
oe
U

* $ bs x x x >! ;! s
E e c o E
>e x
e
b!
c
>s
E
>! $
c IF $ x
o
x x s
e c
$ br * $ c
>{ >s
o $ x x >s
ct c a E F $ $
x x
I N 6 n E E E E
U

6:c=e
8.0e
":a
I
I
o
o
E

o !
o
c
E o g
o
o
!o o
.;
:
';
= c
o q
G F !
d
o o
q c c
el o E
.g
ol
:tr |
o
@
=<
6E
I
I 't
'tr
o(9 o
es |
I Io e
G
F o
g> | G
o g
3 I o
1a @
3 G
o E
.g G o
E o o
u q c
6
z c
.> o G E
: @
E
E a e ;
G E o F =
!
G
o o E o
o E
E E o
E f
E .= o
o c E ! 8 E
o q ! o =c
! o o
! o o _!l

o o 3
a E
o
! .9 .tC .E
o
G
s ;E tr
!
c g o
E o
6 o
o G c E o
v o T
( o ! c o G

e o
q o o
o c
c to @
c a
o I c a E

(
a
o
! c 9
c o : ! E q3
= c
o ( c
q ! o o ! !
R C c
co ( G o
xu g t G
E t o E = E
E
c o .g
E g c
! tr
.:
to t
o
c
G
g 0
( o : I
C o E
o c
c
o
o
o r
!
c
c
G
c C
o U Ix
o f (
C
I I
o o U I
c
x :
C

r 4 s
C o
G t = q o c
0
c
g
q cq ; o U
9 o o >R c o o
o
5 o
E c I o o c
+
o
a
- E
(
i a
o s
(
E o
o o o
o,
.=
o
E .g

= o
E t c
o g
rL) o
G
c C o -g
.t :b o c
o tC ! ] F G o
3
o I g
0 + E F
t a 0 t !
2
E c
e
g a
tg c !
L L I I
q
c to
f
o o
o =
G
-9 t c n G
a
G
G

oo
E sc
c
l E
o c
e
G
€ T( :
I(
-9
o .9 v
c
;
( !
I
I c
o !(
!q a g G E
I g c g1 o
g
d C "r o
I .v U o c
e q 'a
4 G o v o @ v
r o q lo = q c !0 o q o
@
g s c o
o dc 9' F e ! T c a
o t o
o
4
(- E
o
u G C E
cu q
U C o q
q
F
s
G o o e z 4 6 o u e o
o F q o N g c o G v c
F
o o P
tF
d

e o
c
 ANNEX 2
Page 1 of 3

BANK NAME
Summary comparlson of accounting assets vs leverage ratio exposure measure
As of_
Amounts in Million Pesos

1 Total consolidated assets as per published financial statementst/

2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated
for accounting purposes but outside the scope of regulatory consolidation 2/
3 Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting
framework but excluded from the leverage ratio exposure measure ,/
4 Adjustments for derivative financial instruments
5 Adjustments for securities financial transactions (i.e., repos and similar secured lending)
5 Adjustments for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance
sheet exposures)
7 Other adjustments

1/ Refers to total on-balance sheet assets per quarterly published balance sheet
2/ Not included under the framework
3/ sum of ltems 1to 7. Should be consistent with item 21 of the Basel llt Leverage Ratio Common Disclosure Template
 ANND( 2
Page 2 of 3

BANK NAME
Basel lll Leverage Ratio Common Disclosure Template
As of-
Amounts in Million Pesos; Ratios in Percent

1 On-balance sheet itemsl/

2 (Asset amounts deducted in determining Basel lll Tier l Capital)

4 Replacement Cost associated with all derivatives ransactions

5 Add-on amounts for Potential Future Exposure associated with all derivative transactions
6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant
to the operative accounting framework/
7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions)v
8 (Exempted CCP leg ofclient-cteared trade exposures)2/
9 Adjusted effective notional amount of written credit derivatives
10 (Adjusted effective offsets and add-on deductions for written credit derivatives)

t2 Gross SFT assets (with no recognition of netting)

13 (trtetted amounts of cash payables and cash receivables of gross SFI assets)/
14 CCR exposures for SFT assets
15 3/
Agent transaction exposures

17 Off-balance sheet exposure at gross notional amount

18 (Adjustments for conversion to credit equivalent amounts)

I,/ Gross of General Loan Loss Provision (GLLP) and excluding derivatives and SFTS
2/ Not included under the framework
3/ When a bank/non-bank acting as an agent in an SFT provides an indemnity or guarantee to a customer or counterparty for any
difference between the value of the security or cash the customer has lent and the value of the collateral the borrower has
provided
 ANNEX 2
Page 3 of 3

Explanatory Table for Common Disclosure Templatel/

2/
Item
1 On-balance sheet assets according to ltem A.2.b.1.
2 Deductions from Basel tll Tier 1 capital determined by ltem A.1 paraeraph 2 excluded from the leverage
ratio exposure measure, reported as negative amounts.
3 Sum of lines 1 and 2.
4 Replacement Cost (RCldetermined by ttem A.2.b.2.
5 Add-on amount for all derivative exposures according to ltem A.2.b.2 paraeraphs 2-4.
9 Adjusted effective notional amount (i.e., the effective notional amount reduced by any negative change in
fair value) for written credit derivatives according to ltem A.2.b.2 parasraphs 5-6.
10 Adjusted effective notional offsets of written credit derivatives according to paragraph ltem A.2.b.2
parasraohs 5-6 and deducted add-on amounts relating to written credit derivatives according
to ltem
A.2.b.2 oaraeraphT, reported as negative amounts, if applicable.
11 Sum of lines 4 - 10.
!2 Gross SFT assets with no recognition of netting other than novation
as set out in footnote 9, removing
certain securities received as determined by ttem A.2.b.3.a.
13 Cash payables and cash receivables of gross SFT assets netted according to ltem A.2.b.3.a, reported as
negative amounts.
!4 Measure of counterparty credit risk for sFTs as determined by ltem A.2.b.3.a.
15 Agent transaction exposure amount determined according to ltem A.2.b.3.b.
16 Sum of lines 12-15.
77 Total off-balance sheet exposure amounts on a gross notional basis, before any adjustment for credit
conversion factors according to ltem A.2.b.4.
1.8 Reduction in gross amount of off-balance sheet exposures due to the application of credit conversion
factor,s in ltem A.2.b.4.
19 Sum of lines 17-18.
20 Tier 1 capital as determined by ltem A.1.
2t Sum of lines 3, 11, 16 and 19.
22 Basel lll leverase ratio accordins to ltem A.

1/ Individual banks/QBs need not disclose the explanatory table.

2/ Onlv items which are applicable are retained from the BIS prescribed template. However, row numbering remains
unchanged for easy mapping with the BIS prescribed template.
3/ Refers to appropriate items in the Guidelines on the lmplementation of the Basel lll Leverage Ratio Framework
(Appendix a-6s).